Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study...
Helmut Lütkepohl
Sydney, Australien,
27.02.2013
| Business Analytics Seminars: University of Sydney
C. Katharina Spieß
Berlin,
21.02.2013
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Pia S. Schober, C. Katharina Spieß
Berlin,
20.02.2013
| Cluster-Seminar Öffentliche Finanzen und Lebenslagen: Day-Care Quality and Work-Care Choices of Mothers in Germany
Claudia Kemfert
Berlin,
19.02.2013
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In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Melbourne, Australien,
18.02.2013
- 19.02.2013| Multivariate Time Series Modelling and Forecasting Workshop: Monash University
Georg Erber
Berlin,
18.02.2013
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Marcel Fratzscher
Cambridge, USA,
15.02.2013
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